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20172020
most citedMixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process

2 citations · 3 across the 3 of their papers we have counts for

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math.PR2020

Maximum likelihood estimation for mixed fractional Vasicek processes

Chunhao Cai, Yinzhong Huang, Weilin Xiao

The mixed fractional Vasicek model, which is an extended model of the traditional Vasicek model, has been widely used in modelling volatility, interest rate and exchange rate. Obvi…